Futures Documentation

1.Futures

Bitcoin Futures on Deribit exchange receive cash settlement rather than the physical delivery stock. This means the buyer of BTC Futures, at settlement won’t buy the actual BTC, nor the seller sell the BTC at agreed price. There will be only a transfer of losses/gains at settlement.

1.1.Contract Specifications

There is only settlement at expiration. Your realised and unrealised profits are always in real time added to your equity and are always available for withdrawal if your margin permits this.

Expiration dates

Weekly future with each friday at 15.00 UTC. As soon as “current week” expires, a new “this week” instrument will be created with expiration date 1 week away.

Contract size

US $10

Initial margin

5% (20x margin trading)

Maintenance margin

3% with standard auto-liquidation. Whenever account equity is lower than the maintenance margin, positions in the account will be incrementally (maximum 10 contracts/liquidation) reduced as to keep maintenance margin lower than the equity in the account.

The mark price is the price at which the future contract will be valued during trading hours. This can vary slightly from the BTC index to protect against manipulative trading. See here for a detailed explanation.

Delivery/Expiration

Every Friday 08.00 UTC

Delivery method

Cash settlement in BTC

Fees

Taker fee 0.01% / Maker fee 0% / Delivery fee 0.01%

1.2.Mark Price

To calculate unrealised profits and losses in future contracts, not always the last traded price of the future is used.

If the last traded price is not within the current best bid-ask, then the bid price or ask price will be used, whichever is nearer to the last traded price.
Further the mark price can never differ more than 2% from the Deribit BTC index (for the weekly future, currently the only future traded on Deribit), or when in last half hour before expiration, the estimated delivery price. These rules will prevent liquidations due to manipulative trading.

Examples:

1.
INDEX=270.00
BID/ASK= 271-271.50
LAST= 271.70

The Mark Price for calculating profits/losses in future contracts will be 271.50

2.
INDEX=270.00
BID/ASK=271/271.50
LAST= 271.20

The Mark Price will be 271.20

3.

INDEX=270
BID/ASK=280-280.5
LAST= 280

The Mark Price would be 280, but because the difference between the index and 280 is more than 3%, the Mark Price will be 270+3%=278.1

1.3.Example (futures)

For better understanding how Bitcoin Futures work on the Deribit platform, below is set out an example.

If you buy 100 future contracts with size US $10 each at a price of US $600 per BTC, you go long $1000 worth of bitcoin for $600 (100 contracts of US$10 dollar each makes US$1000). Imagine that you close the contracts by selling at $700. Basically you agreed upon buying $1000 worth of bitcoins for $600/bitcoin, and later you sold $1000 worth of bitcoin for $700/bitcoin. Your profit is 1000/600 – 1000/700 = 0,238095BTC or 166.66USD with bitcoin priced at $700. If both orders were taker orders, the total fee paid on this round trip would have been 2x 0.01% of 1000USD = 0.20USD (debited in BTC, so 0.1/600BTC + 0.1/700BTC = 0.00016666 + 0.00014285 = 0.00030951 BTC.) The margin you required to purchase US $1000 worth of contracts is $50 dollar (5% of $1000) and thus 50/600BTC= 0,08333BTC